Turnover & Urgency In The Futures Markets by Michael J. Monsler, PhD
If you are long or short the market, you’ll want to gather clues to help time your exit and maximize your proﬁts. Here, we introduce a new, dimension-less variable called “urgency” that helps quantify how pressing the need is for current shorts or longs to exit their positions.
I am involved in a long-term quest to understand the dynamics of the futures markets well enough to write equations for how supply & demand drive the large-scale oscillations of price that we see in the data. I am not interested in the minute-by-minute ﬂuctuations we see in the markets ...